Highest High in formation period

Optuma Scripting
1

Hii Sir,

I am using below script for formation period of momentum portfolio of t-12 to t-2. So i want to find the highest high between said time period. I am using offset function for the same as below.
But it is wrong as when i calculate the highest high 2 months back it will take 12 month look back. Is there a way to find a highest high in the said period.

Regards,
Deepak

HIGHESTHIGH(RANGE=Look Back Period, BARS=12, INCBAR=True, BACKTYPE=Months)[2]
2

Hi,

I’m not 100% sure what it is you want to identify? Do you mean you want to find where the highest high from the last 12 months has occurred within 2 months of the current date?

If the above is what you are after this script would work…

V1 = High() CrossesAbove HIGHESTHIGH(BACKTYPE=Months, BARS=12) ;
TIMESINCESIGNAL(V1, UNIT=Months) <= 2

If you are after something different please provide some specific examples we can reference.

3

Hii Sir,

Sorry for late reply attached is formation period. I am trying to find out Po.

Regards,
Deepak

Formation-Period.png
Formation-Period.png957×477 78.7 KB

4

Phigh I mean to say